Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Heavy
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 23.12 +34.03%
- Euro/Yen Carry Return Index 119.18 -5.92%
- Emerging Markets Currency Volatility(VXY) 11.21 +13.46%
- S&P 500 Implied Correlation 62.09 +13.58%
- ISE Sentiment Index 44.0 -60.36%
- Total Put/Call 1.21 -2.42%
- NYSE Arms 1.62 +197.27%
Credit Investor Angst:
- North American Investment Grade CDS Index 86.28 +12.88%
- America Energy Sector High-Yield CDS Index 745.0 +.71%
- European Financial Sector CDS Index 125.70 +32.47%
- Western Europe Sovereign Debt CDS Index 36.69 +31.64%
- Asia Pacific Sovereign Debt CDS Index 54.31 +7.34%
- Emerging Market CDS Index 300.78 +8.97%
- iBoxx Offshore RMB China Corporate High Yield Index 129.91 -.06%
- 2-Year Swap Spread 12.75 unch.
- TED Spread 37.75 unch.
- 3-Month EUR/USD Cross-Currency Basis Swap -43.50 -7.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 71.50 -2.28%
- 3-Month T-Bill Yield .25% -3.0 basis points
- Yield Curve 93.0 -2.0 basis points
- China Import Iron Ore Spot $50.61/Metric Tonne -2.47%
- Citi US Economic Surprise Index -23.8 -4.8 points
- Citi Eurozone Economic Surprise Index 3.8 +4.1 points
- Citi Emerging Markets Economic Surprise Index -5.9 -.1 point
- 10-Year TIPS Spread 1.45% -9.0 basis points
- 0.0% chance of Fed rate hike at Sept. 21 meeting, 0.0% chance at Nov. 2 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +413 open in Japan
- China A50 Futures: Indicating +3 open in China
- DAX Futures: Indicating -61 open in Germany
Portfolio:
- Slightly Lower: On losses in my biotech/medical/tech/retail sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges and to my emerging markets shorts
- Market Exposure: Moved to 25% Net Long
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